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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

Persistent link: https://www.econbiz.de/10011605102

Transparency, disclosure and the federal reserve

Ehrmann, Michael; Fratzscher, Marcel - 2005

This paper assesses the change in Federal Reserve policy introduced in 1999, with the publication of statements about the outlook for monetary policy (and later about the balance of risks) immediately after each FOMC meeting. We find that markets anticipated monetary policy decisions equally...

Persistent link: https://www.econbiz.de/10011604503

Communication and decision-making by central bank committees: different strategies, same effectiveness?

Ehrmann, Michael; Fratzscher, Marcel - 2005

The paper assesses the communication strategies of the Federal Reserve, the Bank of England and the European Central Bank and their effectiveness. We find that the effectiveness of communication is not independent from the decisionmaking process in the committee. The paper shows that the Federal...

Persistent link: https://www.econbiz.de/10011604534

How should central banks communicate?

Ehrmann, Michael; Fratzscher, Marcel - 2005

The paper shows that central bank communication is a key determinant of the market’s ability to anticipate monetary policy decisions and the future path of interest rates. Comparing communication policies by the Federal Reserve, the Bank of England and the ECB since 1999, we find that...

Persistent link: https://www.econbiz.de/10011604603

The timing of central bank communication

Ehrmann, Michael; Fratzscher, Marcel - 2005

This paper explores whether there are systematic patterns as to when members of the decision-making committees of the Federal Reserve, the Bank of England and the European Central Bank communicate with the public, and under what circumstances such communication has the ability to move financial...

Persistent link: https://www.econbiz.de/10011604611

Is the corporate bond market forward looking?

Hilscher, Jens - 2007

This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that corporate bond transaction prices contain substantial...

Persistent link: https://www.econbiz.de/10011604846

The uncovered return parity condition

Cappiello, Lorenzo; De Santis, Roberto A. - 2007

This paper proposes an equilibrium relationship between expected exchange rate changes and differentials in expected returns on risky assets. We show that when expected returns on a risky asset in a certain economy are higher than the returns that are expected from investing in a risky asset in...

Persistent link: https://www.econbiz.de/10011604858

Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.

Amisano, Gianni; Savona, Roberto - 2008

Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...

Persistent link: https://www.econbiz.de/10011604927

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

Scheicher, Martin - 2008

has changed since the start of the credit market turmoil in 2007. Overall, I find that pricing of CDX and iTraxx tranches …

Persistent link: https://www.econbiz.de/10011604956

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

Persistent link: https://www.econbiz.de/10011605091